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Long memory and regime switching
12 references·16 citing·33 second hop
Long memory and regime switching (2001)Long memory and regime switchingThe distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Threshold Cointegration (1997)Threshold CointegrationModelling Extremal Events (1997)Modelling Extremal EventsLong memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…A long memory property of stock market returns and a new model (1993)A long memory property of sto…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Long memory and persistence in aggregate output (1989)Long memory and persistence i…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…What Remains of Cross-Country Convergence? (2020)What Remains of Cross-Country…Volatility Is Rough (2018)Volatility Is RoughParametric and Nonparametric Volatility Measurement (2010)Parametric and Nonparametric …Modelling Nonlinear Economic Time Series (2010)Modelling Nonlinear Economic …The Volatility of Realized Volatility (2008)The Volatility of Realized Vo…Realized Volatility: A Review (2008)Realized Volatility: A ReviewChapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Nonstationarities in Stock Returns (2005)Nonstationarities in Stock Re…Neglecting parameter changes in GARCH models (2005)Neglecting parameter changes …Chapter 8 Growth Econometrics (2005)Chapter 8 Growth EconometricsOccasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes (2004)How to Forecast Long-Run Vola…Estimation and interpretation of 1/fα noise in human cognition (2004)Estimation and interpretation…A New Approach to Markov-Switching GARCH Models (2004)A New Approach to Markov-Swit…Detecting multiple breaks in financial market volatility dynamics (2002)Detecting multiple breaks in …The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Modeling and Forecasting Realized Volatility (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Introductory Econometrics for Finance (2008)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Scaling of the distribution of fluctuations of financial market indices (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Time Series Analysis: Forecasting and Control (1977)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1997Threshold Cointegration1,042 cited
  • 1989Long memory and persistence in aggregate output546 cited

Cited by

  • 2005Chapter 8 Growth Econometrics996 cited
  • 2018Volatility Is Rough793 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2004A New Approach to Markov-Switching GARCH Models599 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2010Parametric and Nonparametric Volatility Measurement520 cited
  • 2008Realized Volatility: A Review517 cited
  • 2008The Volatility of Realized Volatility421 cited
  • 2010Modelling Nonlinear Economic Time Series352 cited
  • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
  • 2002Detecting multiple breaks in financial market volatility dynamics324 cited
  • 2005Neglecting parameter changes in GARCH models321 cited
  • 2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes304 cited
  • 2004Estimation and interpretation of 1/fα noise in human cognition304 cited
  • 2005Nonstationarities in Stock Returns296 cited
  • 2020What Remains of Cross-Country Convergence?296 cited